ya back to posting on ihub yet?

VIXEE or VIXED?

#msg-28534324 not fully understanding the mechanics of VIX and vix implied volatility,
I'll ask 2 questions...
Did my VIXEX May22.5c fall to far out of the money to come back and how far does the vix need to come back up before they return gains?
I'm assuming the i/v will probably slide as the vix rises.

Thanks

current stats

 
          Symbol       VIXEX             
                             
            Type         VIX 
                    MAY 2008 
                   22.5 Call 
                             
         Bid/Ask   1.35/1.40 
           Delta      0.4127 
                             
  Expires (days)          29 
    Implied Vol.     89.7829 
     1 Day Decay     -0.0354 
                             
   Intrinsic Val        1.38 
    Time Premium        0.00 
                             
       Stk Price       20.81 
                             
                             
          Loaded    10:18:06 
                       AM ET 
 

NTRI ~ out 200 @ 18.32 today

and coulda had more

not complainin tho

NDX / SPY ~ NDX did not have as much of a lift as SPX today

LEH tanking nicely

think LEH might be the next one to go...we'll see

LEH

yesterday was another wild one. VIX lost $5 bucks!

what a crazy day! SPX up 40 points!

VIX never got to 30 on that tear down...

Important changes affecting March 2008 options: SPX, DJX, NDX and RUT

Due to a CBOE holiday on Friday, March 21, 2008, the last trading day for March 2008 SPX, DJX, NDX and RUT options will be on Wednesday, March 19, 2008 (please note this is not the traditional third Thursday of the month). As a result, March 2008 SPX, DJX, NDX and RUT options will settle based on opening prices on Thursday, March 20, 2008.

VIX not all that exciting...#msg-22045398

VIX Loses Some of Its Volatility

Shortly after the January VIX futures expired, VIX® itself registered a spike peak – sharply trading up to 37.57 on January 22nd and then falling rapidly to close at 31 that day. Moreover, the decline continued on into the next day. This spike peak is generally regarded as a bullish, intermediate-term signal for the broad stock market (i.e., for the S&P 500® Index("SPX")). The broad market did rally after that, although the rally proved to be relatively short-lived. More about that in a minute.

Since then VIX has remained in a range, trading between 24 and 29. This is relatively calm action for VIX, and as a result, the actual volatility of VIX has been declining for some time. Not only has the 50-day historical volatility of VIX itself dropped from 140% in January to about 100% today, but the implied volatility of VIX options has decreased substantially as well: in late January, VIX options had implied volatilities in the high 80’s; now the near-term options have implied volatility in the high 60’s. Normally, a declining and less volatile VIX is bullish for the broad stock market, although that hasn’t been the case of late.

As these movements occurred in VIX, the VIX futures were changing their posture somewhat as well. As was documented in the last newsletter, VIX futures, because they were trading at a substantial premium to VIX, gave a timely and accurate warning in late December of the trouble that the stock market was about to face in January. Then, adding to their stellar record, the near-term futures dropped to a substantial discount, and that was bullish. That discount persisted for several days – from January 17th through January 30th – and the SPX rose from its lows near 1300 to nearly 1395 over that time period.

Since then, as the volatility of VIX has dampened, so have any extreme readings noted by discounts or premiums, in the VIX futures. On only a few occasions so far this month has there been a discount (Feb 5th) or premium (Feb 1st and 3 days recently) larger than 85 cents in the near-term VIX futures contract, as compared to VIX itself.

Figure 1 shows the VIX index (green line) and the VIX futures contracts (colored lines). Looking at the right-hand side of the chart, where the current data is, one can see the green line well above the colored lines in mid-to-late January. That was the period of futures discounts that we referred to above, reflecting a bullish market bias.

Now all of the lines are tightly bunched together between 24 and 26, as the volatility of VIX has declined. When the futures are bunched together like this, we say that the futures pricing curve is flat. Another way to interpret the pattern is to say that this relative flatness of the volatility curve at these fairly high levels (i.e., near 25 or so) indicates that traders expect volatility to remain high through this year.

Table 1 below shows the current state of the VIX futures pricing curve. Note that the futures all the way out to November are within 1.00 point of each other, and all are quite close to VIX in value as well.



Source: MAC



Figure 1 Source: McMillan Analysis Corp.



CBOE® S&P 500 Three-Month Variance Futures

Simply stated, variance is volatility squared. [As VIX has moved higher over the past several months, CBOE S&P 500 Three-Month Variance futures have become interesting, too.] One apparent issue with trading CBOE S&P 500 Three-Month Variance futures (which are worth $50 for every point of movement), is that the variance futures market seems overly wide. In fact, however, they are not, because the width of the markets is a function of volatility.

To see why, consider this example. Back when VIX was near 10%, a volatility market might have been 10% bid, offered at 10.5%. To arrive at a variance market, square these numbers. So, the near-term CBOE S&P 500 Three-Month Variance futures contract might have been bid at 100, offered at 110 – not a bad market, being only 10 points wide.

Today, however, VIX is much higher. Suppose that the volatility market is 24% bid, offered at 25%. It is a little wider than when VIX was 10% because of the higher level of VIX. Squaring these, we arrive at 576 bid, offered at 625. Thus the variance market would be nearly 50 points wide! Some traders might think that’s inexcusably wide, considering that the markets were only 10 points wide a year ago. But, in reality, we can see that both are fair representatives of the square of the volatility market in VIX itself.

The overall increase in volatility has pushed CBOE S&P 500 Three-Month Variance futures to record highs (at least, records for the nearly four-year history of trading at CFE). Up until last summer, CBOE S&P 500 Three-Month Variance futures typically traded in the 100-200 range, often expiring at or below 100. Now, the near-term CBOE S&P 500 Three-Month Variance futures are trading above 550, and were nearly 850 last November. The near-term CBOE S&P 500 Three-Month Variance futures settle at a price equal to the actual variance of the SPX over the last 90 days of its life. As noted above, this settlement was often at or below 100, when actual historic volatility was 10% or lower. But, in September 2007, the settlement was 368 (~19.2% volatility), and in December it rose to 396 (~19.9% volatility).

While those settlements were at all-time highs for the duration of time that the CBOE S&P 500 Three-Month Variance futures contract has traded on CFE, those settlements pale in comparison to where the March CBOE S&P 500 Three-Month Variance futures contract is likely to settle. So far, the actual variance is 471.95 (~21.7% volatility), roughly halfway through the 90-day computation period. But the March CBOE S&P 500 Three-Month Variance futures are trading even higher than that (512 bid, 542 offered), so they are implying that traders expect actual volatility to increase even more during the rest of the computation period.

Just to compare, had a trader bought a Feb 2007 VIX futures contract a year ago, he would have paid about 15. It settled at 25.51 this week. That’s a gain of $10,510 per contract. In contrast, had he bought a March CBOE S&P 500 Three-Month Variance futures contract a year ago, he would have paid 218. It is now selling for 520. That’s roughly a 300-point gain, or $15,000.

That’s not to say that the CBOE S&P 500 Three-Month Variance future contracts are necessarily always going to be a better speculation than VIX contracts, but over the last year they have been.

Back to top






S&P 500 3-month Variance Futures

Variance is a measure of how spread out a distribution is. It is computed as the average squared deviation of each number from its mean. Squaring the distance from the mean has the effect of giving greater weight to values that are further from the mean. Although the variance is intended to be an overall measure of spread, it can be greatly affected by activity at the tails of a distribution. CBOE S&P 500 3-month Variance Futures are based on the realized, or historical, variance of the S&P 500 Index. CBOE S&P 500 3-month Variance Futures are quoted in terms of variance points, which are defined as realized variance multiplied by 10,000. One variance point is worth $50. For example, a variance calculation of 0.06335 would have a corresponding price quotation in variance points of 633.50, and a contract size of $31,675.00 (633.50 x $50).

Implied and Realized Components of the S&P 500 3-month Variance Futures

Because S&P 500 3-month Variance Futures are based on the realized variance of the S&P 500 Index, the price of the front-month contract can be stated as two distinct components: the realized variance and the implied forward variance. CFE will disseminate both of these values at the end of each trading day under the following tickers:

Realized Variance - RUG: An indication of the realized variance of the S&P 500 Index corresponding to the front-month Variance futures contract.

Implied Forward Variance - IUG: An indication of the future variance of the S&P 500 Index that is implied by the daily settlement price of the front-month Variance futures contract.

Variance futures contracts are forward starting three-month variance swaps. Once a futures contract reaches front-month status, it enters the three-month window during which realized variance is calculated. To calculate the variance, sum the daily returns of the S&P 500 from the swap-start date through futures expiration, then annualize the number. Because the daily returns are additive, on any day, it is possible to know both the realized variance since the first day of the swap period (RUG) and the implied variance of the S&P 500 derived from the price of the variance futures contract (IUG). For example, on March 4, 2005, the front-month Variance futures contract (VT/H5) had 10 business days remaining until settlement. Because the entire three-month swap period encompassed 62 business days, 83% of the contract's settlement value has been realized (RUG). The RUG reported by CFE that evening was 94! .97 and the VT/H5 daily settlement price was 99.50. Using the following formula, we can calculate the implied forward variance (IUG) for the remaining ten days.

Where VT is the daily settlement price for the front-month Variance futures contract. RUG is realized variance so far in the life of the contract. T is the total number of business days in the Variance futures. t is the number of business days left until options expiration.

Taking the square root of the IUG, one finds the futures price is implying an annualized S&P 500 return standard deviation or volatility of 11.09% over the next ten days. ). For more information about the S&P 500 Three-Month Variance calculation, please visit the education page for the CFE.

NTRI ~ another fill

in 200 @ 14.38

Some people can't be content with arbitrage. They want to take risks. These people should never be handed large amounts of money in the first place.

SocGen Took 16 Days, 28 People to Uncover Kerviel Lie (Update1)

By Gregory Viscusi and Anne-Sylvaine Chassany



Feb. 22 (Bloomberg) -- For five days in early January, as European markets began to slide, Jerome Kerviel lied, stalled and used jargon to keep colleagues from discovering the phony bets that eventually brought him down and led Societe Generale SA to post a record trading loss.

One employee was so confused by Kerviel's explanation about why his counterparty had such a high risk level that she didn't pursue it, according to the bank's internal probe published Feb 20. She was one of four people from the back, middle and risk- management offices who initially questioned Kerviel on eight forward trades beginning Jan. 2.

The report censures the controls that Societe Generale, which helped create today's derivatives markets, says keep risk at an acceptable level. It shows that compliance officers went through the motions of carrying out controls without challenging Kerviel's explanations or probing further when he changed counterparties or canceled trades.

``It seems there was a consensual `laissez-faire' within the bank,' said Pierre Flabbee, an analyst at Landsbanki Kepler in Paris who cut his rating on the stock to ``reduce' this month. ``A trader wants to make money and can be intoxicated by success. There was apparently elasticity in the notion of limits.'

After winning by wagering on the market's decline, Kerviel had recently switched his positions to bet on a recovery of Germany's DAX Index and the pan-European Euro Stoxx Index, Societe Generale has said.

Reality and Reputation

From Jan. 2 to when the false trades were uncovered on Jan. 18, the DAX fell 8 percent, including 5.2 percent in the final week as bank officers exchanged a flurry of e-mails discussing Kerviel's unconfirmed counterparty.

Societe Generale has fallen 13 percent to 64.66 euros ($96) since the bank reported the 4.9 billion-euro net trading loss. So far, the board has backed Chief Executive Officer Daniel Bouton, 57, who has offered to resign.

The bank ranked first or second in client surveys of equity derivative firms for the past five years, according to Risk Magazine.

``This is a great demonstration of how far apart reality and reputation can be,' said Gary Clarke, head of European stocks at Schroders Plc in London, which oversees about $270 billion and holds Societe Generale shares. ``SocGen was considered the epitome of modern sophisticated derivatives management.'

`Inadequate'

Kerviel's job on the ``Delta One' trading desk was to use large volumes to arbitrage small price differences between equity index futures and forwards. Instead, he took bets on the market's direction while forging e-mails and documents to make it appear he'd hedged his positions.

Commissioned by Societe Generale's board on Jan. 30, the report says the bank failed to follow up 75 warnings about bets by Kerviel. Written by a three-person committee headed by Jean- Martin Folz, the former chief executive officer of PSA Peugeot Citroen, it concludes Kerviel acted alone.

``The brilliant thing that he realized was how inadequate their risk management system was,' said Stan Jonas, a former managing director of Fimat USA, the New York-based unit of Societe Generale's brokerage.

The real revelation of the report is that Kerviel wasn't just trading ``plain vanilla' futures, but was an active trader of options and warrants that form the heart of the bank's equity derivatives business, Jonas said.

Confused

``He was trading in the very instruments and field that were the pride and joy of SocGen's equity derivatives business,' Jonas said.

On Jan. 9, the day after a compliance officer was confused by Kerviel's answers about his counterparty, another officer twice asked Kerviel to clear up the matter.

According to the report, the case was closed on Jan. 9 when the 31-year-old trader said he'd canceled the trades and they ``wouldn't appear again.'

The matter resurfaced on Monday, Jan. 15, as the bank went through its annual exercise of reconstituting its year-end exposure to calculate regulatory capital requirements. Kerviel's trades, which were opened in December, would have required 3 billion euros to back them up.

By that evening, agents were confused by Kerviel's answers. Over the next three days, bank officers exchanged e-mails about the trades. One agent accused his colleagues of an ``excess of zeal' because the trades had already been verified.

`Upper Hand'

Late on Thursday, Jan. 17, Kerviel was summoned to a meeting where he told five bank officers that his supposed counterparty was just acting as a broker. He said the real counterparty was instead a large German bank that would have only required 390 million euros of capital to offset the trades. A court document says that bank was Deutsche Bank AG.

The next day, an officer described as ``Agent 26' went to see Kerviel. Soon after, Kerviel produced a fax purporting to be from Deutsche Bank, confirming the trade. Another agent, identified as ``27,' called his contacts at the German bank who were unable to confirm the trade.

Only at that point was Jean-Pierre Mustier, the head of Societe Generale's investment bank, contacted. Bank officials worked through the weekend to get to the bottom of the trades.

The incident highlights the inherent tension between middle offices and the trading floor.

``You have two people: one makes the bank richer and one prevents the bank from earning because of risk of loss,' said Tamar Frankel, a law professor at Boston University. ``So guess who has the upper hand?'

To contact the reporters on this story: Gregory Viscusi in Paris on gviscusi@bloomberg.net; Anne-Sylvaine Chassany in Paris at achassany@bloomberg.net

Last Updated: February 22, 2008 04:46 EST

NTRI ~ that was fast

in 100 common @ 15.35

RIMM ~ up 10 bucks today ~ yikes!

NTRI ~ GTC limit for 100 @ 15.35

Keeping Pace with Constantly Changing E-minis
Wednesday February 20, 2:03 pm ET
By Austin Passamonte

The more things change, well... the more they change, I guess. Looking back from February 2007 onward, that month was the real transition from decade's low volatility (VIX) levels towards a steady trend of rising volatility in the markets. February 27, 2007 was one of the largest-range sessions lower that anyone had seen in years. If I recall correctly, it was Bernanke who uttered something about the Fed's role not being tied to propping up stock markets. "Whoosh" was the overwhelming response to that idea.

Funny how the fed has seemingly worked overtime to talk - prop - lift financial markets higher ever aft. Can you recall a group of more vocal, public Fed members at any point in history? I can't. The aggressive pace at which interest rates are being slashed rivals if not exceeds year 2001 efforts. Whether that translates into a years-long stock market bottom akin to Oct 2001 remains unknown.

Volatile Extremes

So we now have the financial watchdogs of U.S. market policy jawboning (literally every week) financial markets that have never before been so sensitive and responsive to breaking news. Recent volatility levels as measured by the VIX, based on the underlying SPX are approaching historical high levels right now. Only Sep-Oct 1999 and the summer of 2002 recorded higher VIX readings than current since way back 1991. Traders who got real good at working dull markets have moderately or completely retooled their trade entry/exit method(s) to keep pace with this other end of the price-action bell curve.

Market volatility is at least partially enhanced by fundamental changes. Stock market exchanges have gone public, complete with listed stocks themselves. Elimination of uptick rule for short sales, much less clarity on Level I and II screens for both stocks and various futures and migration of products listed on various exchanges have altered the playing field from past years until now.







Programmed In

By far the biggest change in my time has been proliferation of program, aka black-box trading. A recent article in Forbes estimated that some 70+% of all volume across U.S. stock exchanges is driven by program trading of some form or another. Instead of human decisions to gradually accumulate or distribute a stock or basket, block trades are hauled in or puked out literally at the speed of light. What once was rather deliberate price action trending upwards or down in a given session (or week) has now morphed into a buzz-buzz-slam-slam-buzz-buzz type of pattern. Index traders in particular essentially position their trades either ahead of or directly into the next program blitz that kicks off. In between those surge moves these days is a whole lot of sideways noise.

V-Turns

In the past, we would see price action moving in more deliberate fashion at a slower pace. Current market movement includes numerous v-reversal moves intraday. What seems to be a deliberate trend move higher or lower abruptly ends with a sharp reversal of direction that races higher or plunges lower. That type of thing was expected before on occasion when breaking news changed the landscape. In today's market, numerous reactions to bits of information and then the reaction to that initial reaction are computer-driven programmed slams.

Straight-line Surges

On occasion when fundamental news does manage to drive a trend session directionally, the surge upward or down can be straight as a telephone pole. That's what happens when trading collars are relaxed, uptick rule for shorts eliminated and a majority of volume is traded through computers that click one another like lined dominos.

Same Game, Different Equipment

Overall, the games of baseball and football in America haven't changed at all in a century. The fundamentals essentially remain the same: run, throw, pitch, catch, tackle, slide. But bring back any player who has been in a vacuum for twenty years and see if he spots any changes. Parts of the game would be unrecognizable, for sure.

The same if true for trading. Buy low, sell high or reverse the order of that sequence. Long or short, stop-loss protection in place, exit for profit or loss. Repeat the process. What part about that hasn't changed since the major exchanges were held in the open air outdoors?

Bring back traders who have been idle since 1999, 2000 or even 2004 and let them see current price action for the first time since then. A lot of similarities for sure, with some dramatic differences.

A trader's primary approach should work through all market conditions. Most do better in sideways markets or directional markets overall, but any approach needs to handle whatever price action delivers. That is what periods of prosperity versus periods of drawdown are made from. Longer-term traders can be less flexible than short-term traders. Smaller charts = greater variances of price behavior. Anything compressed is naturally sped up to equal degrees.

It's the natural evolution of market behavior which thwarts or outright kills rigidity in a trading approach. Mechanical systems built to harvest cash methodically in the dull markets of 2004 - 2005 didn't stand a chance since 2007 began. Systems or methods based on the huge directional moves stock index futures frequently made past 3pm est through several months past would likewise be carved to shreds once that pattern ceased. For the last couple of months the power surges inside final hour of trading have morphed to big M-shaped or W-shaped surges as computers wage war.

The ability to trade consistently means overall results are a constant. Accomplishing that inside of a market which remains perpetually variable does not permit rigidity. Systems traders must continually tweak and adjust trade management parameters. Discretionary traders must likewise adapt to minor and sometimes major changes as well.

A good example of that is trading the Russell 2000 emini contract. When volatility is low, this contract gained a lot of popularity amongst retail traders. It often makes twice the dollar-value movement intraday than any other emini contract. In other words, if the ES posts a 20-pt intraday range while the ER posts a 17-pt intraday range, the ES covered $1,000 per contract as the ER covered $1,700 per contract of chart distance. That type of ratio used to be common and is still seen often today.

In the past year alone, available open interest size on the ER dome has slid to about half of what it formerly was. Whether it is the gradual migration of ER traffic from CME to ICE exchange, twice as many ER traders chasing the same open interest intraday or fewer surviving ER traders chasing lesser open interest in high volatility conditions is often debated. What we can see with our own eyes is a thinner contract that commonly skips across two - three ticks (or more) when filling block trades. Depending on where an orders sits in the cue, even a 1-lot ER trader can experience one - two tick slippage on fills that are limit orders that become market orders when hit. Heaven forbid someone enters on a pure market order for ER during one of its frequent price surges. Actual fill could be ten ticks or worse than where it was intended to be fill.

Remains to be seen what becomes of the ER next year when full migration to ICE platform is complete. The changes may be subtle or dramatic, and dedicated ER traders will adapt accordingly. Not much different than 30-yr bonds which essentially ceased to be issued (trade) a few years back, only to be reintroduced some time later. 30-yr futures traders either stuck with a dwindling contract, migrated to the 10-yr or 5-yr, or switched to another market entirely for at least awhile.

Summation

I've been doing this since late 1998 myself, and haven't missed sitting through many live sessions since late 1999. For these few reasons above and legions more like them, rigid thinking and complete faith in an unchanged future are not part of my thought process. Having a core approach to trade from is important. Being able to mold and adapt when conditions change has been critical to survival. After all, in our profession, the only constant is subtle to dramatic change.

Austin Passamonte is a full-time professional trader who specializes in E-mini stock index futures and commodity markets. Mr. Passamonte's trading approach uses proprietary chart patterns found on an intraday basis. Austin trades privately in the Finger Lakes region of New York. His website is CoiledMarkets.com.

RIMM ~ out of the vertical

BOT +1 VERTICAL RIMM 100 MAR 08 96.625/93.375 PUT @1.40 ISE

AAPL ~ calender spread long

in 1 AAPL Apr 08 135c @ 4.45
sh 1 AAPL Mar 08 135c @ 1.95

net debit = 2.5

VIX cash ~ interestingly, up while the market is up today. Must be ppl coming into options after the long weekend and OE>

RIMM ~ trades on OE day

bought back 1 of those short calls @ 0.80, then one later @ 0.40, and then traded out of the 100p @ 9.50. At then end of the day, turned the remaining put into a short vertical; have a $7 delta, so fairly flat on my small RIMM position for now, but profit is in hand. Was on the road to Michigan State for the weekend so couldn't post. Had to make some trades on my phone, and finally just call my broker to help me out.

SOLD -1 RIMM 100 MAR 08 96.625 PUT @7.05 CBOE
MOBILE BOT +1 RIMM 100 FEB 08 95 PUT @.40 PHLX
MOBILE SOLD -1 RIMM 100 MAR 08 100 PUT @9.50 PHLX
BOT +1 RIMM 100 FEB 08 95 PUT @.80 PHLX
SOLD -1 RIMM 100 FEB 08 95 PUT @1.07 PHLX
BOT +1 RIMM 100 MAR 08 93.375 PUT @5.15 PHLX
SOLD -1 RIMM 100 FEB 08 95 PUT @1.08 PHLX
BOT +1 RIMM 100 MAR 08 100 PUT @8.25 PHLX

RIMM ~ long 1 Mar 08 93.375p @ 5.15

day lmt to sell 1 Feb 08 95p @ 1.07

edit: sold 1 Feb 08 95p @ 1.07

now in an addition diaganol spread on RIMM, this one established for a net debit of 4.08

RIMM ~ currently 95.95, just hope it holds the $95 mark!

DJX ~ the Feb 08 131p now trades 6.55 x 6.9, 6.775 mark

so didn't miss too much by not taking that trade...

RIMM ~ crap 97.7 a/h is it going to 100 again?

RIMM ~ short 1 Feb 08 95p @ 1.08

now long a Mar/Feb diagonal from 7.17

day limit to buy 1 Feb 08 95p @ .50

will be moving that limit around quite a bit...

RIMM ~ in 1 Mar 08 100p @ 8.25

limit to sell 1 Feb 08 95p @ 1.08

quick calender w/ a flip

VIX futures

VIX/G8 26.75 -0.31 (Feb)
VIX/K8 25.75 -0.15 (May)

VIX 25.73 -0.60 (Cash)

SPX 1354.46 +5.60

Merrill's Goldsmith Quits for Khosla's Hedge Fund, People Say

By Bradley Keoun

Feb. 12 (Bloomberg) -- Merrill Lynch & Co.'s Graham Goldsmith, head of a team of traders and bankers who invest in distressed company debt, is leaving to join Strategic Value Partners LLC, the hedge fund run by former colleague Victor Khosla, three people familiar with the situation said.

Goldsmith, 40, made the decision to give up his post as head of corporate principal investments, and Merrill executives tried to keep him, said the people, who declined to be identified because the firm hasn't announced his departure. He has worked at the New York-based securities firm since July 1994, according to regulatory records. His group's investments included loans and bonds of financially weakened companies.

The departure reduces Merrill's senior trading ranks just as Chief Executive Officer John Thain is trying to bolster them. Thain, appointed last year after the ouster of Stan O'Neal, said in November that Merrill's trading business needed to ``add some senior management talent.'' In December, the firm hired Jeff Kronthal, a onetime bond-trading executive who was fired by previous management 17 months earlier, as a consultant.

Goldsmith didn't return phone calls seeking comment. Jonathan Gasthalter, a spokesman for Greenwich, Connecticut- based Strategic Value who works for Sard Verbinnen & Co., declined to comment, as did Merrill spokeswoman Jessica Oppenheim.

Khosla, who founded Strategic Value Partners in 2001, was a managing director at Merrill Lynch from 1993 to 1998, where he built and oversaw a trading desk that invested in distressed debt, according to a biography on the Web site of the Arab Bankers Association of North America. Greenwich, Connecticut- based Strategic Value now has about $5 billion under management.

Merrill is a passive, minority investor in Bloomberg LP, the parent of Bloomberg News.

To contact the reporters on this story: Bradley Keoun in New York at bkeoun@bloomberg.net .

Last Updated: February 12, 2008 15:25 EST

XEO ~ no fill

DJX ~ no fill.

DJX ~ think it's overdone

day lmt for 1 DJX Feb 08 131p @ 6.4

see if I can't make a little market making type of arb...

extrinsic value on that put is 0 to negative...

XEO ~ day limit to

sell 1 XEO Mar 08 630c

buy 1 XEO Mar 08 635c

short vertical

day limit = 3.4
current bid/ask = 2 x 3.3

just got back from Chicago yesterday. What a trip!

Interviewed with Group One trading. Hung out with the support staff on the CBOE floor. All their guys trade on the floor (20+), then the younger guys serve as clerks basically (about 10 guys). Nobody there over 40. Was definitely quite an experience.

Hoping to hear back from them.

We'll see.

VIX ~ yesterday (Feb 11) @ 10:10am,

out 1 VIX Feb 08 25c @ 4.0

now holding 1

original position #msg-26340332

VIX ~ out 1 VIX Feb 08 25c @ 3.6

now holding 2

original position #msg-26340332

GOOG hanging back around that 500 mark...

VIX ~ out 1 VIX Feb 08 25c @ 3.4

now holding 3

original position #msg-26340332

VIX ~ both of those orders filled yesterday

today: out 1 VIX Feb 08 25c @ 2.6

now holding 4

original position #msg-26340332

market down 250 and i can't sell the freakin call @ 2.75 wow.

VIX/G8 up a buck to 26.78 meanwhile VIX up 1.67 to 27.66

VIX back over 30? Can we?

Have another sell order @ 2.75, and another @ 3.0

c'mon market tank....

VIX 25c they are pulling the floor out from under us it is total crap the market maker is keeping mega wide spreads and thanks to the VIX futures tracking / not spot VIX, the VIX options are in no way in line with the rest of the market.

Sucks.

VIX ~ out 1 VIX Feb 08 25c @ 2.5

now holding 7

sold now VIX calls today but if we can open ugly tomorrow I think I'll take some off..

AAPL spreads moved in my favor finally...been playing those with discipline...

VIX futures / VIX / SPX / OEX: end of day 2/4/2008

VIX/G8 (VOLATILITY INDEX 2/08) 25.85 +0.90
VIX/H8 (VOLATILITY INDEX 3/08) 25.50 +0.84
VIX/J8 (VOLATILITY INDEX 4/08) 25.19 +0.49
VIX/K8 (VOLATILITY INDEX 5/08) 24.50 +0.26

VIX (CBOE MARKET VOLATILITY) 25.99 +1.97
.SPX (S&P 500 INDEX) 1380.82 -14.60
.OEX (S&P 100 INDEX) 638.43 -7.87

VIX is up substantially over the VIX futures; I think that's coming from the Monday morning option re-buyers, same ppl who decided to sell out Friday...